I've done a bit of development for s3 and I have not found a simple way to download a whole bucket.
If you want to code in Java the jets3t lib is easy to use to create a list of buckets and iterate over that list to download them.
first get a public private key set from the AWS management consule so you can create an S3service object...
AWSCredentials awsCredentials = new AWSCredentials(YourAccessKey, YourAwsSecretKey);
s3Service = new RestS3Service(awsCredentials);
then get an array of your buckets objects...
S3Object objects = s3Service.listObjects(YourBucketNameString);
finally, iterate over that array to download the objects one at a time with this code...
S3Object obj = s3Service.getObject(bucket, fileName);
file = obj.getDataInputStream();
I put the connection code in a threadsafe singleton. The necessary try/catch syntax has been omitted for obvious reasons.
If you'd rather code in Python you could use Boto instead.
PS after looking around BucketExplorer my do what you want.